Game Engine does not conserve momentum
I've written a Blender/Bullet simulation of a Newton's Cradle that doesn't conserve energy.  Here's two animations that illustrate the problem:

 

It's all done with rigid bodies, and the wooden top piece doesn't participate in the physics.  The initial angle of the first ball is an adjustable parameter - 90 degrees in the first animation, 60 degrees in the second.  You can reproduce everything by running this script in Bullet 2.69.  Make sure the Tool Shelf is open to get to the simulation controls.

I suspect that it's all the same problem.